Swing exercise. More...
#include <vanillaswingoption.hpp>
Inheritance diagram for SwingExercise:
Collaboration diagram for SwingExercise:
Public Member Functions | |
| SwingExercise (const std::vector< Date > &dates, const std::vector< Size > &seconds=std::vector< Size >()) | |
| SwingExercise (const Date &from, const Date &to, Size stepSizeSecs) | |
| const std::vector< Size > & | seconds () const |
| std::vector< Time > | exerciseTimes (const DayCounter &dc, const Date &refDate) const |
| Public Member Functions inherited from BermudanExercise | |
| BermudanExercise (const std::vector< Date > &dates, bool payoffAtExpiry=false) | |
| Public Member Functions inherited from EarlyExercise | |
| EarlyExercise (Type type, bool payoffAtExpiry=false) | |
| bool | payoffAtExpiry () const |
| Public Member Functions inherited from Exercise | |
| Exercise (Type type) | |
| virtual | ~Exercise ()=default |
| Type | type () const |
| Date | date (Size index) const |
| Date | dateAt (Size index) const |
| const std::vector< Date > & | dates () const |
| Returns all exercise dates. More... | |
| Date | lastDate () const |
Private Attributes | |
| const std::vector< Size > | seconds_ |
Additional Inherited Members | |
| Public Types inherited from Exercise | |
| enum | Type { American , Bermudan , European } |
| Protected Attributes inherited from Exercise | |
| std::vector< Date > | dates_ |
| Type | type_ |
Detailed Description
Swing exercise.
A Swing option can only be exercised at a set of fixed date times
Definition at line 37 of file vanillaswingoption.hpp.
Constructor & Destructor Documentation
◆ SwingExercise() [1/2]
|
explicit |
Definition at line 57 of file vanillaswingoption.cpp.
◆ SwingExercise() [2/2]
| SwingExercise | ( | const Date & | from, |
| const Date & | to, | ||
| Size | stepSizeSecs | ||
| ) |
Definition at line 75 of file vanillaswingoption.cpp.
Member Function Documentation
◆ seconds()
| const std::vector< Size > & seconds | ( | ) | const |
◆ exerciseTimes()
| std::vector< Time > exerciseTimes | ( | const DayCounter & | dc, |
| const Date & | refDate | ||
| ) | const |
Definition at line 83 of file vanillaswingoption.cpp.
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Member Data Documentation
◆ seconds_
|
private |
Definition at line 49 of file vanillaswingoption.hpp.